Extended stochastic volatility models incorporating realised measures
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Year
: 2014DOI: 10.1016/j.csda.2012.11.005
Keyword(s): Stochastic volatility,Realised volatility,Latent variables,Intraday price data,Combined volatility estimator
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Extended stochastic volatility models incorporating realised measures
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| contributor author | Venter, J.H. - de Jongh, P.J. | |
| date accessioned | 2020-03-11T15:43:51Z | |
| date available | 2020-03-11T15:43:51Z | |
| date issued | 2014 | |
| identifier issn | 0167-9473 | |
| identifier uri | https://libsearch.um.ac.ir:443/fum/handle/fum/583088?locale-attribute=en | |
| format | general | |
| language | English | |
| publisher | Elsevier Science | |
| title | Extended stochastic volatility models incorporating realised measures | |
| type | Journal Paper | |
| contenttype | Metadata Only | |
| identifier padid | 4443381 | |
| subject keywords | Stochastic volatility | |
| subject keywords | Realised volatility | |
| subject keywords | Latent variables | |
| subject keywords | Intraday price data | |
| subject keywords | Combined volatility estimator | |
| identifier doi | 10.1016/j.csda.2012.11.005 | |
| journal title | Computational Statistics & Data Analysis | |
| journal volume | 76 | |
| journal issue | 0 | |
| filesize | 1857602 | |
| citations | 0 |